1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2019 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdsabrvanillaengine.hpp
21 \brief Finite-Differences pricing engine for the SABR model
22*/
23
24#ifndef quantlib_fd_sabr_vanilla_engine_hpp
25#define quantlib_fd_sabr_vanilla_engine_hpp
26
27#include <ql/handle.hpp>
28#include <ql/instruments/vanillaoption.hpp>
29#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
30
31namespace QuantLib {
32 class YieldTermStructure;
33
34 class FdSabrVanillaEngine : public VanillaOption::engine {
35 public:
36 FdSabrVanillaEngine(Real f0,
37 Real alpha,
38 Real beta,
39 Real nu,
40 Real rho,
41 Handle<YieldTermStructure> rTS,
42 Size tGrid = 50,
43 Size fGrid = 400,
44 Size xGrid = 50,
45 Size dampingSteps = 0,
46 Real scalingFactor = 1.0,
47 Real eps = 1e-4,
48 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
49
50 void calculate() const override;
51
52 private:
53 const Real f0_, alpha_, beta_, nu_, rho_;
54 const Handle<YieldTermStructure> rTS_;
55 const Size tGrid_, fGrid_, xGrid_, dampingSteps_;
56 const Real scalingFactor_, eps_;
57 const FdmSchemeDesc schemeDesc_;
58 };
59}
60
61#endif
62

source code of quantlib/ql/pricingengines/vanilla/fdsabrvanillaengine.hpp